Direct feeds carry things the SIP does not: full book depth, order-level messages, auction imbalances, and venue-specific flags. They also arrive first, because there is no aggregation hop.
Building a consolidated view from direct feeds means subscribing to every venue, paying for cross-connects and hardware, and normalising a dozen different protocols. That cost is why the market splits into firms that see the book in microseconds and everyone else.
Example: a firm pays roughly five figures a month per venue for feeds plus colocation, against a few hundred dollars a month for professional SIP data. The payoff is seeing a quote change 400 microseconds earlier — worthless to a swing trader, decisive to a market maker managing queue-position.
Related: securities-information-processor, colocation, latency, market-by-order